xxm
6973d3599b
s2_scanner.py(§39定稿): - 门控: 大盘RSI14<25(极端恐慌), 从stock_daily计算与回测零偏差 - 个股: bias60<-6.8 + r5f<-10(5日深崩) + dist_lo20>=10(崩前强势) - 排序: r5f升序(崩最深优先, 深崩74%wr>浅崩55%wr) - 候选写sector=s2_panic(与v_weak的v_mr管道分离), top15/日幂等 - 单测: 正确画像命中/浅崩/贴低/超MA60三种错误样本全正确拦截 market_watch.py: 每10分钟调度链挂s2_scanner子进程调用(与mr_scanner并列) 回测依据§39: 3261信号/avg+16.6%/wr85.6%, S1+S2组合8槽ret344.9%/年化18.7%
212 lines
8.4 KiB
Python
212 lines
8.4 KiB
Python
#!/usr/bin/env python3
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"""s2_scanner.py — S2 恐慌买超跌策略实盘扫描器（2026-08-05，策略家族成员）
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策略家族架构（docs/v_mr_strategy.md §39）：S1(v_weak 弱市甜区) + S2(恐慌买超跌)
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同时运行、票自己对号入座、零重叠。S2 吃 v_weak 的真空带——大盘极端恐慌
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（ADX 冲过甜区上沿、v_weak 按规则休眠的日子）正是 S2 大开张的日子。
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入场条件（与 §39 回测严格对齐）：
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市场门控：大盘 RSI14 < 25（极端恐慌日）
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个股：
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1. bias60 < -6.8% : 收盘价在 MA60 下方超 6.8%（超跌）
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2. r5f < -10% : 5日深崩（恐慌日里崩得越深越好，74%wr vs 浅崩55%）
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3. dist_lo20 >= 10% : 离20日低点≥10%（崩前是强势股，恐慌陪葬品）
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画像：大盘极端恐慌日，强势票被错杀。
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出场建议（候选字段）：结构出场=峰值回撤8%（数据归纳动态卖点），止损-12%兜底，
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目标参考+30%。下游 watchlist 的 12维重评会接管实际出场决策（3+12 实盘流程）。
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排序：r5f 升序（5日崩最深优先，§39 负面因子分析：深崩74%wr>浅崩55%wr）
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候选写入 sector='s2_panic'（与 v_weak 的 sector='v_mr' 管道分离）
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回测依据（§39）：3261信号 / avg+16.6% / wr 85.6%
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2020新冠+14%/88%、2022双底+21%/85%、2025恐慌+16%/87% 三次恐慌集群全盈利。
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用法：
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python3 s2_scanner.py # 完整扫描（大盘RSI<25门控）
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python3 s2_scanner.py --force # 忽略门控强制扫描
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python3 s2_scanner.py --top N # 输出前 N 只（默认 15）
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"""
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import sys, json, sqlite3
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from pathlib import Path
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from datetime import datetime
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sys.path.insert(0, str(Path(__file__).parent))
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from mr_scanner import fetch_tx_klines, calc_ma, calc_rsi, get_stock_pool
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DB_PATH = Path("/home/hmo/MoFin/data/mofin.db")
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# ── S2 参数（§39 定稿）──
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S2_CFG = {
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"mkt_rsi_max": 25, # 大盘RSI14 < 25（极端恐慌）
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"bias60_max": -6.8, # bias60 < -6.8%（超跌）
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"r5f_max": -10, # r5f < -10%（5日深崩）
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"dist_lo20_min": 10, # 距20日低点 ≥ 10%（崩前强势）
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}
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EXIT_NOTE = {"tp_ref": 0.30, "sl_backstop": 0.12, "struct_dd": 0.08, "max_hold": 60}
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TOP_N = 15
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def load_mkt_rsi():
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"""从 stock_daily 计算大盘 RSI14（与回测零偏差——回测用的就是 stock_daily）"""
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try:
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conn = sqlite3.connect(str(DB_PATH), timeout=5)
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rows = conn.execute(
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"SELECT date, close FROM stock_daily WHERE code='sh000001'"
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" ORDER BY date DESC LIMIT 40").fetchall()
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conn.close()
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if len(rows) < 20:
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return None, None
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rows = list(reversed(rows))
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closes = [r[1] for r in rows]
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rsi = calc_rsi(closes)
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return rows[-1][0], rsi[-1]
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except Exception:
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return None, None
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def check_s2(klines):
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"""S2 恐慌买超跌筛选。命中返回信号 dict，否则 None。"""
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if not klines or len(klines) < 70:
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return None
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closes = [k["close"] for k in klines]
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lows = [k["low"] for k in klines]
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i = len(klines) - 1
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close = closes[i]
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if close <= 0:
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return None
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ma60 = calc_ma(closes, 60)
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m60 = ma60[i]
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if not m60 or m60 <= 0:
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return None
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# 1. bias60 < -6.8%
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bias60 = (close - m60) / m60 * 100
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if bias60 >= S2_CFG["bias60_max"]:
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return None
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# 2. r5f < -10%（5日深崩）
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prev5 = closes[i - 5] if i >= 5 else 0
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r5f = (close - prev5) / prev5 * 100 if prev5 > 0 else 0
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if r5f >= S2_CFG["r5f_max"]:
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return None
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# 3. dist_lo20 >= 10%（崩前强势：离20日低点≥10%）
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lo20 = min(lows[max(0, i - 19):i + 1])
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dist_lo20 = (close - lo20) / lo20 * 100 if lo20 > 0 else 0
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if dist_lo20 < S2_CFG["dist_lo20_min"]:
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return None
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return {
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"price": close,
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"bias60": round(bias60, 2),
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"r5f": round(r5f, 2),
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"dist_lo20": round(dist_lo20, 2),
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"target": round(close * (1 + EXIT_NOTE["tp_ref"]), 2),
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"stop_loss": round(close * (1 - EXIT_NOTE["sl_backstop"]), 2),
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"date": klines[i]["date"],
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}
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def main():
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force = "--force" in sys.argv
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top_n = TOP_N
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if "--top" in sys.argv:
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try:
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top_n = int(sys.argv[sys.argv.index("--top") + 1])
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except (ValueError, IndexError):
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pass
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print(f"[S2] {datetime.now().strftime('%H:%M')} S2 恐慌买超跌扫描开始", flush=True)
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# ── 大盘 RSI 门控（唯一市场开关：RSI14<25 极端恐慌）──
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mkt_date, mkt_rsi = load_mkt_rsi()
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if mkt_rsi is not None:
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print(f" 大盘RSI14({mkt_date}): {mkt_rsi:.1f}", flush=True)
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if mkt_rsi >= S2_CFG["mkt_rsi_max"] and not force:
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print(f" ⏭ RSI={mkt_rsi:.1f} ≥ {S2_CFG['mkt_rsi_max']}，非恐慌日，S2 休眠", flush=True)
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return
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if mkt_rsi >= S2_CFG["mkt_rsi_max"]:
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print(f" ⚠ --force 强制扫描（RSI={mkt_rsi:.1f} 非恐慌）", flush=True)
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else:
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print(" ⚠ 大盘RSI不可用，默认执行扫描", flush=True)
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# ── 幂等：当天已有 s2_panic 候选则跳过 ──
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conn = sqlite3.connect(str(DB_PATH), timeout=5)
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try:
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_today = datetime.now().strftime("%Y-%m-%d")
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_n = conn.execute(
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"SELECT COUNT(*) FROM candidates WHERE sector='s2_panic' AND substr(created_at,1,10)=?",
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(_today,)).fetchone()[0]
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except Exception:
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_n = 0
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conn.close()
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if _n > 0 and not force:
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print(f" 已有 {_n} 条今日 s2_panic 候选，跳过（--force 可强制）", flush=True)
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return
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# ── 股票池（与 v_weak 同口径）──
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all_stocks, existing = get_stock_pool()
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print(f" 股票池: {len(all_stocks)}只A股", flush=True)
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if not all_stocks:
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print(" ⚠ 股票池为空", flush=True)
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return
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from concurrent.futures import ThreadPoolExecutor, as_completed
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pool = [c for c in all_stocks if c not in existing]
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found = []
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done = 0
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with ThreadPoolExecutor(max_workers=8) as ex:
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fut_map = {ex.submit(fetch_tx_klines, c): c for c in pool}
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for fut in as_completed(fut_map):
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code = fut_map[fut]
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done += 1
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klines = fut.result()
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if klines:
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sig = check_s2(klines)
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if sig:
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found.append((code, sig))
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if done % 400 == 0:
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print(f" 已扫描 {done}/{len(pool)}", flush=True)
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print(f" 命中 S2 条件: {len(found)} 只", flush=True)
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# 排序：r5f 升序（5日崩最深优先，§39：深崩74%wr > 浅崩55%wr）
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found.sort(key=lambda x: x[1]["r5f"])
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# ── 写 candidates（sector='s2_panic'，UPSERT）──
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conn = sqlite3.connect(str(DB_PATH), timeout=5)
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inserted = 0
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for code, sig in found[:top_n]:
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name = code
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try:
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r = conn.execute("SELECT name FROM stocks WHERE code=?", (code,)).fetchone()
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if r and r[0]:
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name = r[0]
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except Exception:
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pass
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price = sig["price"]
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entry_low = round(price * 0.97, 2)
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entry_high = round(price * 1.02, 2)
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reasons = (f"S2恐慌买(bias60={sig['bias60']}% r5f={sig['r5f']}% "
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f"dist_lo20={sig['dist_lo20']}% | 结构出场:峰值回撤8%, "
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f"止损-12%兜底, 目标参考+30%)")
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exists = conn.execute(
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"SELECT code FROM candidates WHERE code=? AND (promoted IS NULL OR promoted=0)",
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(code,)).fetchone()
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if exists:
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continue
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conn.execute(
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"INSERT INTO candidates (code, name, sector, reason, "
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"entry_range, stop_loss, target, created_at) "
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"VALUES (?,?,?,?,?,?,?,datetime('now','localtime')) "
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"ON CONFLICT(code) DO UPDATE SET "
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"name=excluded.name, sector=excluded.sector, reason=excluded.reason, "
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"entry_range=excluded.entry_range, stop_loss=excluded.stop_loss, target=excluded.target",
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(code, name, "s2_panic", reasons,
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f"{entry_low}~{entry_high}", sig["stop_loss"], sig["target"]))
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inserted += 1
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print(f" 🟢 {code} {name} 价{price} bias60={sig['bias60']}% r5f={sig['r5f']}% dist_lo20={sig['dist_lo20']}%", flush=True)
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conn.commit()
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conn.close()
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print(f" ✅ 新增 {inserted} 只 s2_panic 候选（前 {top_n}，r5f最深优先）", flush=True)
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if __name__ == "__main__":
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main()
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